The suspected gunman was among the dead in the shooting near the Castle Swimming Pool in Spalding in eastern UK.
Lincolnshire Police, who were called to scene said no shots were fired by their officers.
Two women and a man died in the incident, British media reports said.
A spokeswoman for the local ambulance service said paramedics had treated three patients for gunshot wounds but they were pronounced dead at the scene.
Police said they were not looking for anyone else in connection with the incident.
A force spokesman said there was no indication it was a "terror-related" incident.
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